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Implied Trinomial Trees

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  • Pavel Cizek
  • Karel Komorad

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Bibliographic Info

Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2005-007.

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Length: 21 pages
Date of creation: Mar 2005
Date of revision:
Handle: RePEc:hum:wpaper:sfb649dp2005-007

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Related research

Keywords: option pricing; Black-Scholes formula; binomial trees; implied trinomial trees; implied Volatility; German Stock Index; DAX;

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References

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  1. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  2. Hull, John & White, Alan, 1990. "Valuing Derivative Securities Using the Explicit Finite Difference Method," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 25(01), pages 87-100, March.
  3. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, Elsevier, vol. 7(3), pages 229-263, September.
  4. Matthias Fengler & Wolfgang Härdle & Christophe Villa, 2003. "The Dynamics of Implied Volatilities: A Common Principal Components Approach," Review of Derivatives Research, Springer, Springer, vol. 6(3), pages 179-202, October.
  5. Chen, Ying & Härdle, Wolfgang & Jeong, Seok-Oh, 2008. "Nonparametric Risk Management With Generalized Hyperbolic Distributions," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 103(483), pages 910-923.
  6. Ait-Sahalia, Yacine & Wang, Yubo & Yared, Francis, 2001. "Do option markets correctly price the probabilities of movement of the underlying asset?," Journal of Econometrics, Elsevier, Elsevier, vol. 102(1), pages 67-110, May.
  7. Michal Benko & Alois Kneip, 2005. "Common functional component modelling," SFB 649 Discussion Papers SFB649DP2005-016, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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